Taiwanese stock market. The results suggest that
there exist two heterogeneous agents in Taiwanese stock market, £\-investors behaving as long-term contrarian and £]-investor behaving as short-term momentum traders. To
depict in detail the practical financial market, this research empirically tests HAM with different fundamental values (measured by the moving average price in different
rolling windows) across different investment frequencies (daily, weekly and monthly). The result suggests that £\-investors (fundamentalists) expect prices to deviate from
the short-term moving average but mean revert to long-term moving average. Beta investors (chartists) act as momentum traders in daily and monthly frequency, but
short-term contrarian in weekly frequency. In addition, this study tests whether the parameters in HAM can explain some characteristics of crashes and bubbles. The result suggests that there are different investor behaviors in Asian, Dotcom, and Subprime crashes. By comparing the
parameters (£\, £], and £^) of each individual stock, the study finds that stocks with contrarian £\-investors and short-term momentum £]-investors acting as short-term momentum traders have more volatile price pattern. As to crashes and individual stock volatility, the result suggests that sudden crashes (abrupt price decline) tend to occur in the stocks with short-term momentum traders, and while general crash (longterm economic cycle) tend to occur in the stocks with long-term contrarian investors. Stocks with larger Gamma, proxy for uncertainty, tends to have general crash only when £\-investors acting as contrarian and £]-investors acting as momentum traders.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0119112-013135 |
| Date | 19 January 2012 |
| Creators | Huang, Po-Fu |
| Contributors | Ray-Yeutien Chou, Tai Ma, Robin K. Chou |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0119112-013135 |
| Rights | user_define, Copyright information available at source archive |
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